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Measuring the Impact of Behavioural Choices on the Market Prices

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Massimiliano Caporin

    (University of Padova, Department of Economics and Management Marco Fanno)

  • Luca Corazzini

    (University of Padova, Department of Economics and Management Marco Fanno)

  • Michele Costola

    (University Ca’ Foscari Venezia, Department of Economics)

Abstract

We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent’s choices. In this note, we discuss the main idea behind the proposed approach.

Suggested Citation

  • Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Impact of Behavioural Choices on the Market Prices," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 53-56, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_12
    DOI: 10.1007/978-3-319-05014-0_12
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